Download or read book Essays in Intertemporal Investment Decisions and Asset Prices written by Fernando Restoy and published by . This book was released on 1991 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Empirical Asset Pricing written by Amir Akbari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --

Download or read book Three Essays in Investments written by Luqi Xu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Sentiment is an important concept in economics and finance and has been the focus of many studies. Individual investors, professional investors, corporate managers, and households have sentiments on the economy and financial markets which affect their decisions, and hence economic activities and asset prices. Measuring sentiment and determining what factors affect it have significant importance in finance research. My dissertation studies this subject by introducing state-of-the-art methods from artificial intelligence to measure the sentiment in several sources of business text data, that is, public firms disclosures and mutual funds reports. I investigate the information content, determinants, and the effects of the sentiments on asset prices and investment decisions of investors. In chapter one, we use a novel text classification approach from deep learning to accurately measure sentiment in a large sample of 10-Ks. In contrast to prior literature, we find that both positive and negative sentiments predict abnormal returns and abnormal trading volume around the 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. In chapter two, I study the sentiment of mutual fund managers towards the stock market. Using a direct measure of managers market expectations extracted from mutual funds semi-annual reports, I find that fund managers extrapolate their funds past performance into their market outlook. Funds with managers who have higher market expectation take more risk by increasing their equity holdings and the beta of their equity portfolios, but underperform subsequently. In chapter three, we study the sentiment of mutual fund managers about specific stocks in their portfolios. We study some mutual funds practice of voluntarily disclosing investment ideas in their annual reports. The practice involves, at a minimum, expressing views on stocks which fund managers are optimistic about. We find that managers of larger and better performing funds discuss positions that have recently underperformed, those that make up larger portions of their portfolios, and those they have held for longer periods. Our findings suggest that managers disclose these recommendations to boost their own fund performance and to attract additional capital.

Download or read book Essays in Financial Economics written by Winston Wei Dou and published by . This book was released on 2017 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays that theoretically and empirically investigate the asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' productivity, and (ii) growth uncertainty shocks, which affect the idiosyncratic variability of firms' investment opportunities. My model deviates from the neoclassical setting in one respect: firms' investment policies are set by the experts who are subject to a moral hazard problem and thus must maintain an non-diversified ownership stake in the firm. As a result, risk sharing between experts and other investors is imperfect. Limited risk sharing distorts equilibrium investment choices, firm valuation, and prices of risk in equilibrium relative to the frictionless benchmark. In the calibrated model, the risk premium on growth uncertainty shocks is negative under poor risk sharing conditions and positive otherwise. Moreover, the cross-sectional spread in valuations between value and growth stocks loads positively on the growth uncertainty shocks under poor risk sharing conditions and negatively otherwise. Empirical tests support these predictions of the model. The second chapter is based on the joint work Chen, Dou, and Kogan (2015), in which we propose a new quantitative measure of model fragility, based on the tendency of a model to over-fit the data in sample with poor out-of-sample performance. We formally show that structural economic models are fragile when the cross-equation restrictions they impose on the baseline statistical model appear excessively informative about combinations of model parameters that are otherwise difficult to estimate. We develop an analytically tractable asymptotic approximation to our fragility measure which we use to identify the problematic parameter combinations. Using these asymptotic results, we diagnose fragility in asset pricing models with rare disasters and long-run consumption risk. The third chapter is based on the joint work Dou and Verdelhan (2015), which presents a two-good, two-country real model that replicates the basic stylized facts on equity excess returns and real interest rates. In the model, markets are incomplete. In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset positions. The model highlights the role of market incompleteness and heterogeneity across countries in accounting for the volatility of equity and debt international capital flows.

Download or read book Essays on Intertemporal Asset Pricing written by Fernando Zapatero and published by . This book was released on 1991 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intertemporal Asset Pricing written by Bernd Meyer and published by Physica. This book was released on 2011-12-21 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.

Download or read book Essays in Financial Economics written by Mr. Lars Kristoffer Tebering Laursen and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays which are entitled "Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-free Term Structure Model" and "Risk Premiums Implicit in the Term Structure of Oil Futures Prices", and two accompanying appendices. The first essay, which is based on joint work with Marco Giacoletti and Ken Singleton, explores the properties of risk premiums implied by a dynamic term structure model (DTSM) in which the stochastic discount factor (SDF) reflects Bayesian learning and where the degree of investor dispersion of beliefs today is informative about the future paths of yields. The estimated learning rule has formal roots in the literature on Bayesian learning, and it reveals which aspects of risk and the state of the economy agents learn about and which aspects they (evidently) know from information embedded in the current yield curve. Through the lens of our arbitrage-free learning model we see that investors had full knowledge of key aspects of the pricing distribution. Furthermore, we find that, when the U.S. economy is emerging from a recession, knowledge of the extent of disagreement among professionals is informative about how today's yield curve will impact its future shape. Our learning-based DTSMs outperform the median professional forecasts as well as a random walk over the past twenty-five years, particularly during the years following recessions in the U.S. economy. The second essay, which is based on joint work with Ken Singleton, explores the nature of risk premiums within an arbitrage-free dynamic term structure model of oil futures prices. Particular attention is given to 2008 which included the boom and bust in oil prices and the subsequent global financial crisis. A novel feature of our model is that it allows for information about trading patterns in futures markets and macroeconomic developments to systematically affect variation in risk premiums within a dynamic, arbitrage-free model. This is accomplished by extending the literature on affine term structure models to accommodate the changing maturities of futures contracts. Our results suggest that both investor flows and market perceptions about future inflation had large effects on risk premiums, over and above the information in the past history of oil futures prices. With the model in hand, and the implied estimates of expected excess returns on oil contracts, we then ask if index trader activity in oil markets is related to expected future oil returns. This is one of the questions in the heated debate on the financialization of commodity markets. We document that index funds flowed into commodity markets as oil risk premiums were high, nominal interest rates were low, and the slope of the oil term structure was in backwardation.

Download or read book Three Essays on Intertemporal Asset Pricing written by Patrizia Julia Perras and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Financial Economics written by Yizhou Xiao and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies how information affects trading and firm investment. In the first chapter I examine the conditions for the no-trade theorem to hold in multiperiod consumption settings and show it no longer holds in many reasonable scenarios. In situations where agents have different concerns for intertemporal substitution, information-based trade can be mutually acceptable because it enables agents to readjust their consumption profiles based on future consumption shocks. I show that the existing literature that finds no-trade results in various multiperiod consumption settings crucially depends on specific preference assumptions that lead to risk aversion dominating concerns for intertemporal substitution. The no-trade theorem fails to hold when a wider range of utility functions with a more important role for intertemporal substitution are considered.Chapter 2 presents quantitative analysis on the intertemporal substitution as a rational channel to generate trading. Intertemporal substitution bridges information-based trading and consumption-based asset pricing. Consumption-based asset pricing models are natural candidates to analyze information-based trading, and information-based trading affects the volatility of individual consumption processes. Quantitative analysis demonstrates that besides asset pricing implications, information-based trading related to intertemporal consumption smoothing can also explain a significant part of the trading volume observed in financial markets.Finally, Chapter 3 studies how a firm's growth is affected by the evolution of its external debt financing environment. Asymmetric information about the qualities of projects the firm can undertake makes external financing costly. Collateral can mitigate this problem, but its availability is limited by the size of the firm. As a firm grows, more collateral becomes available, broadening the firm's access to external debt financing channels and lowering its cost of capital. The firm's growth decision is affected by how effective additional collateral can be in lowering its cost of capital and the amount of assets it needs to accumulate to broaden its access to potential lending channels. A small firm may optimally choose to stay small when it is financially constrained and far from the size necessary to have access to formal lending. When the size of a small firm approaches the level needed to have access to formal lending there arises a strong incentive to expand, making the firm locally risk loving. The framework I study also raises some questions about the frequent use of a firm's growth rate as an empirical proxy for firm value. I show that a high growth rate is not necessarily associated with high firm value.

Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.

Download or read book NBER Macroeconomics Annual 1992 written by Olivier Blanchard and published by MIT Press. This book was released on 1992 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the seventh in a series of annuals from the National Bureau of Economic Research that are designed to stimulate research on problems in applied economics, to bring frontier theoretical developments to a wider audience, and to accelerate the interaction between analytical and empirical research in macroeconomics. Contents What Shall We Do Today? Goals and Signposts in the Operation of Monetary Policy, Ben S. Bernanke and Frederic S. Mishkin - A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore, Alwyn Young - International Trade and the Wage Structure, Steven J. Davis - Imperfect Information and Macroeconomic Analysis, Joseph E. Stiglitz and Bruce Greenwald - Asset Pricing Lessons for Macroeconomics, Lars P. Hansen and John H. Cochrane - Postmortem on the Debt Crisis, Daniel Cohen

Download or read book Essays in Honor of Kenneth J Arrow Volume 3 Uncertainty Information and Communication written by Walter P. Heller and published by Cambridge University Press. This book was released on 1986-09-26 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third in a series of volumes published in honour of Professor Kenneth J. Arrow, each covering a different area of economic theory.

Download or read book Essays on Microeconomics and Industrial Organisation written by Pablo Coto-Millán and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essays on Microeconomics and Industrial Organisation aims to serve as a source and work of reference and consultation for the field of Microeconomics in general and of Industrial Organisation in particular. The book consists of four parts: Demand, Production and Costs (Supply), Market and Industrial Structure, and Failures of Market and Industrial Regulation. It combines theoretical concepts and a variety of empirical cases.

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Theory and Practice of Financial Stability written by Andrew Crockett and published by . This book was released on 1997 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: